The pricing of options for securities markets with delayed response

Yuriy Kazmerchuk, Anatoliy Swishchuk and Jianhong Wu

Mathematics and Computers in Simulation (MATCOM), 2007, vol. 75, issue 3, 69-79

Abstract: The analogue of Black–Scholes formula for vanilla call option price in conditions of (B,S)-securities market with delayed response is derived. A special case of continuous-time version of GARCH is considered. The results are compared with the results of Black and Scholes.

Keywords: (B,S)-securities market; Stochastic delay differential equations; GARCH; Black–Scholes formula (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:75:y:2007:i:3:p:69-79

DOI: 10.1016/j.matcom.2006.09.002

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